Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 4 | 2 |
| Score | -4.5 | -2.52 | -5.72 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.68 | 0.7 | 0.7 |
| Idiosyncratic Volatility | 1.75 | 2.25 | 2.17 |
Annualized return and volatility
| UBVLX | |
|---|---|
| Annualized Return | 0.1045 |
| Annualized Std Dev | 0.2315 |
| Annualized Sharpe (Rf=0%) | 0.4514 |
Row
Daily Return Statistics
| UBVLX | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1296 |
| Quartile 1 | -0.0063 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1069 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0146 |
| Skewness | -0.1580 |
| Kurtosis | 8.2712 |
Downside Risk
| UBVLX | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.6724 |
| Historical VaR (95%) | -0.0214 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0217 |
| Modified ES (95%) | -0.0359 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-02-14 | -0.6724 | 950 | 455 | 495 |
| 2002-04-17 | 2002-10-09 | 2003-07-09 | -0.3946 | 317 | 125 | 192 |
| 2011-04-07 | 2011-10-03 | 2012-02-01 | -0.3181 | 210 | 126 | 84 |
| 2018-08-30 | 2018-12-24 | NA | -0.2617 | 339 | 82 | NA |
| 2001-06-06 | 2001-09-21 | 2002-03-12 | -0.2413 | 193 | 74 | 119 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | UBVLX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.4 | 0.1 | 0.0 | 1.6 | 1.3 | 0.0 | 0.4 | 1.1 | 0.0 | -1.0 | 1.6 | 0.0 | 5.6 |
| 2001 | 0.1 | -0.4 | 0.0 | 1.1 | 0.1 | 0.0 | -0.1 | 0.0 | -2.3 | 0.9 | 0.0 | 0.0 | -0.7 |
| 2002 | -0.7 | 1.6 | -0.4 | 0.3 | 0.0 | -2.7 | -0.4 | 0.0 | 2.1 | 2.6 | 0.0 | 0.0 | 2.1 |
| 2003 | 0.0 | 0.0 | 1.1 | 0.4 | 0.0 | 0.7 | -1.7 | 0.0 | 2.9 | 0.0 | 1.4 | 0.0 | 4.9 |
| 2004 | 0.0 | 0.6 | 0.7 | 0.0 | 0.9 | -2.2 | 0.0 | 0.6 | 1.9 | 0.2 | 1.6 | 0.0 | 4.4 |
| 2005 | 0.8 | 0.9 | -0.5 | 0.0 | 1.0 | 0.4 | 1.0 | 0.1 | 0.0 | -0.4 | 2.2 | 0.0 | 5.5 |
| 2006 | 0.7 | 1.7 | 0.0 | -0.4 | 1.7 | 0.0 | -1.3 | 0.2 | 0.0 | -1.2 | -0.5 | 0.0 | 0.7 |
| 2007 | 0.8 | -0.2 | 0.0 | 0.6 | 0.7 | 0.0 | -0.2 | 0.0 | 2.0 | -4.0 | 0.0 | 0.0 | -0.4 |
| 2008 | 1.7 | 0.0 | 3.2 | 1.9 | 0.0 | 0.3 | 1.0 | 0.0 | 0.8 | 0.0 | -13.0 | 0.0 | -4.8 |
| 2009 | 0.0 | 0.0 | 2.1 | 0.1 | 4.1 | 1.9 | 0.0 | -2.6 | -2.9 | 0.0 | 1.5 | 0.0 | 4.1 |
| 2010 | 1.0 | 1.7 | 0.8 | 0.0 | -3.2 | -0.8 | 0.0 | 3.6 | 0.3 | -0.5 | 1.9 | 0.0 | 4.9 |
| 2011 | 2.9 | -1.4 | 0.6 | 0.0 | -2.7 | 1.8 | -0.5 | -2.7 | 0.0 | -3.9 | -0.7 | 0.0 | -6.8 |
| 2012 | 2.6 | 0.5 | 0.0 | 0.1 | -3.1 | 0.0 | -2.0 | 0.0 | 0.2 | 2.0 | 0.0 | 0.0 | 0.2 |
| 2013 | 0.0 | -0.2 | -1.1 | -1.8 | 0.0 | 1.0 | 1.1 | 0.0 | 0.9 | -0.1 | 0.0 | 0.0 | -0.1 |
| 2014 | 0.0 | 0.0 | 0.9 | -0.2 | 0.0 | 1.2 | -0.4 | 0.0 | -0.9 | 0.0 | -1.3 | 0.0 | -0.7 |
| 2015 | 0.0 | 0.0 | 0.1 | 0.7 | 0.0 | 0.4 | 0.0 | -2.8 | 0.1 | 0.0 | 0.4 | 0.0 | -1.1 |
| 2016 | -0.5 | 1.9 | 0.1 | 0.0 | 0.5 | 0.4 | -0.2 | 0.0 | 0.0 | -0.9 | -0.1 | 0.0 | 1.2 |
| 2017 | -0.3 | 1.3 | 0.0 | 0.2 | 1.9 | 0.0 | 0.2 | 0.7 | 0.0 | -0.1 | -0.3 | 0.0 | 3.7 |
| 2018 | 0.2 | -0.4 | 0.0 | -0.3 | 0.6 | 0.0 | -0.5 | 0.0 | -0.8 | 1.9 | 0.0 | 0.0 | 0.7 |
| 2019 | 0.9 | 0.5 | 2.0 | -1.1 | 0.0 | 0.3 | -2.9 | 0.0 | -2.3 | 2.2 | 0.0 | -0.1 | -0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
